F3 Toolbox for use with MATLAB

Financial analytics platform for valuing OTC derivatives and fixed income

Highlights

Flexibility to model virtually any trade or portfolio

Complete first-order risk calculated without bumping curves

Extensive risk analysis including CVA, PFE, and VaR

Customizable Monte Carlo generator framework

Generic bootstrapping and calibration framework

Transparency and traceability in all modeling and calculations

Description

F3 Toolbox can price financial instruments and portfolios via its stateful, object-oriented architecture that separates the description of the financial instrument from the construction of the financial models and valuation method employed. Any trade or position can be represented in generic terms and used to automatically generate a Monte Carlo simulation to estimate value and exposure. Modeling approaches are also completely customizable with prebuilt options available, offering great flexibility in how users choose to set up their model. With the F3 Toolbox, users can save a significant amount of development time and resources by reusing predefined objects to value any new portfolio or trade without having to build from scratch. F3 Toolbox also offers the flexibility to extract any parameter from the model, enabling users to verify interim calculations as needed. Detailed risk reports show the sensitivity of trades or the portfolio to every market data point. First order risk is calculated using FINCAD’s proprietary Universal Risk Technology™. This methodology offers significant computational savings and increases accuracy compared to “bumping”.

F3 interfaces to MATLAB® via its MEX interface. MATLAB users can access the F3 Analytics Platform for computation on all financial instruments and can easily integrate the multiple market data feeds into MATLAB for computation. F3 enables users to define virtually all financial instruments, no matter how complex, and run all calculations within MATLAB for optimum speed. Through its call logging capabilities, all calculations can be retrieved and reproduced at any time with the original trade and model parameters, allowing for robust compliance and audit practices. All computations can be preserved at the user’s preferred locations as well as transferred to different environments. Calculations and workbooks can be recreated within Microsoft® Excel®, enabling the highest level of efficiency between trading, development, and quant desks. F3 Toolbox is equipped with enterprise-ready architecture that uses common data models (CDMs) to facilitate data integration across different platforms to integrate your MATLAB calculations seamlessly into Excel, C#, C++, or Java™ based systems. F3 Toolbox is designed with grid-enabled, multithreaded and multicore architecture to perform large-scale analyses with maximum efficiency. For example, F3 automatically caches the results of calculations, only recalculating when inputs change.